Horror is the feeling of dread and anticipation that usually occurs before something frightening is seen, heard, or otherwise experienced. It is also the feeling one gets after coming to an awful realization or experiencing a hideous revelation. (Terror is usually described as the feeling that follows after the experience has occurred.) Horror has also been defined as a combination of terror and repulsion.
Compare: the experience of waiting for a scary monster to jump out of the closet (horror) with the experience of actually seeing the scary monster after it has jumped out (terror).
Of course, horror can still be felt after the monster(s) etc. is revealed. A good example is found in the film Rosemary's Baby. The audience isn't just horrified with expectation of what's going to be revealed at the end of the movie; they are equally (if not more) horrified at the moment of revelation itself and all that it implies for the future.
Horror is also a genre of film and fiction that relies on scaring the audience as its main attraction.